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Volatility Oracle
Volatility is the key input in pricing options. In order to be consistent with how the liquidity pool works, Moret has an on-chain volatility oracle that provides the volatility feed which updates itself constantly.
The GARCH model is used to estimate the volatility based on latest price feed from Chainlink. Without making assumption about the long-term volatility level (few actually can), the daily volatility is a result of both the latest price change and the latests volatility level. The historical 1-day ETH volatility hovered around 5%.
Last modified 1yr ago